Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0021 |
| Annualized Std Dev | 0.1477 |
| Annualized Sharpe (Rf=0%) | -0.0143 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2891.0000 |
| NAs | 1.0000 |
| Minimum | -0.1652 |
| Quartile 1 | -0.0042 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0042 |
| Maximum | 0.1080 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0001 |
| Stdev | 0.0093 |
| Skewness | -1.2878 |
| Kurtosis | 45.7301 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0067 |
| Gain Deviation | 0.0069 |
| Loss Deviation | 0.0075 |
| Downside Deviation (MAR=210%) | 0.0119 |
| Downside Deviation (Rf=0%) | 0.0067 |
| Downside Deviation (0%) | 0.0067 |
| Maximum Drawdown | 0.3413 |
| Historical VaR (95%) | -0.0125 |
| Historical ES (95%) | -0.0201 |
| Modified VaR (95%) | -0.0098 |
| Modified ES (95%) | -0.0098 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2016-06-17 | 2020-03-18 | NA | -0.3413 | 1105 | 886 | NA |
| 2012-11-29 | 2013-12-16 | 2016-06-10 | -0.2067 | 882 | 264 | 618 |
| 2010-08-31 | 2011-01-14 | 2012-05-10 | -0.1847 | 427 | 96 | 331 |
| 2009-04-29 | 2009-06-24 | 2009-10-12 | -0.1300 | 115 | 39 | 76 |
| 2012-07-30 | 2012-08-27 | 2012-09-25 | -0.0595 | 41 | 21 | 20 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | -0.3 | 0.7 | 1.5 | 0 | 0.1 | 0.9 | -0.6 | 1.4 | -0.1 | 3.6 |
| 2010 | 0.5 | 0.3 | 0.3 | 1.6 | 0 | 0.3 | -0.5 | 0.3 | 0.5 | 0.1 | 0.5 | 1.6 | 5.6 |
| 2011 | 0.3 | 0.8 | 2.4 | 0.1 | 0.3 | 0 | 1.1 | 0.4 | 0.1 | 0.8 | 0 | 0 | 6.3 |
| 2012 | 0.6 | -0.8 | 0.3 | 0.6 | -0.8 | -0.1 | -0.9 | 0.4 | 0.2 | 0.3 | 0.3 | -0.2 | -0.1 |
| 2013 | 0.5 | 0.7 | 0.4 | 0.1 | -2.7 | 0.9 | 0.1 | 0.5 | -0.5 | -0.5 | 0.7 | 0.1 | 0.1 |
| 2014 | 1 | -1.1 | 0.3 | 0.4 | -0.1 | -0.2 | 1 | 0.4 | -0.3 | 0.2 | 0 | 0.8 | 2.4 |
| 2015 | 0.2 | 0 | 0.9 | -0.1 | -0.1 | -0.6 | 0.5 | 0.6 | 0.5 | -0.3 | -0.4 | -0.2 | 1 |
| 2016 | 1.5 | -1 | -1 | 0.9 | 0.5 | 3 | 0 | -0.6 | -0.9 | 0.9 | -0.2 | -0.3 | 2.9 |
| 2017 | -1.8 | -0.9 | 3 | 0.1 | 0.2 | 0.7 | 0.2 | -0.3 | -0.1 | 0.5 | 0.1 | -0.2 | 1.7 |
| 2018 | 0.7 | -0.5 | 0.5 | 0.1 | 0.1 | -0.8 | -1 | 0 | 0.3 | -1.1 | 1 | 0 | -0.7 |
| 2019 | 0.1 | 1.5 | 1 | -0.5 | 0.7 | 0.2 | -0.1 | 0 | 1.9 | -0.2 | 1.2 | -0.5 | 5.4 |
| 2020 | -0.1 | 0.8 | -4.3 | -1.5 | 2.8 | 0.4 | -1.8 | 1.1 | 0.1 | -1 | 0.4 | 0.4 | -2.9 |
| 2021 | 0.1 | 0.1 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-04-28 15 SPY 85.6 -3.10e-3 0.006 0.0485 0.0123 -0.387 -0.344 -0.251 GLD 87.8 -0.0142 0.0099
2 2009-04-29 14.8 SPY 87.4 2.13e-2 0.0337 0.109 0 -0.372 -0.333 -0.235 GLD 88.3 0.0066 0.0109
3 2009-04-30 14.8 SPY 87.4 3.00e-4 0.024 0.0993 0.0339 -0.368 -0.335 -0.225 GLD 87.3 -0.012 -0.0172
4 2009-05-01 14.8 SPY 87.9 5.40e-3 0.0142 0.0843 0.0611 -0.377 -0.326 -0.214 GLD 87.0 -0.0037 -0.0309
5 2009-05-04 14.7 SPY 90.9 3.40e-2 0.0587 0.0893 0.100 -0.358 -0.308 -0.181 GLD 88.6 0.0194 -0.0042
6 2009-05-05 14.6 SPY 90.6 -3.40e-3 0.0584 0.0749 0.0816 -0.357 -0.308 -0.192 GLD 88.2 -0.0044 0.0057
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
